The Pricing Research Of Mortgage Backed Securities

Mortgage loans originated 70s of last century, expanding mortgage loans business, on the one side, it could make the ordinary consumers be able to meet the lower income and higher prices in case of purchase of commercial housing. On the other hand, for the commercial banks, the mortgage loans are highly professional business, commercial banks in the mortgage business to expand its business scope, a higher income, but here it also breeds a higher risk. The introduction of the mortgage back securitization of financial instruments, in addressing the lack of liquidity of financial assets, improve resource efficiency, reduce financing costs and to meet the financing needs of multi-level play an important role.December 2005 China’s Banking Regulatory Commission officially approved the China Construction Bank on the establishment of personal housing mortgage loan securitization of financial assets of the proposal, the name of the securities Jianyuan 2005 mortgage securities, the financial instruments in China not only represents the implementation of China’s housing mortgage loans from theory into the practice of the process, but also represents the start of full financial integration, as well as scholars in the future of our financial instruments that provide data samples.Mortgage back securities as structured financing instruments, if not taking into consideration the changes of interest rates, which would affect the rate of prepayment, pricing the mortgage back securities can be easily seen as pricing the fixed income bond in general, but because of the special nature of mortgages back securities, that embedded option features, making the class a certain period of the cash flows of the financial products can not be stable, Therefore, the core issue for this bond is how to determine the future size of the cash flow period, and to determine the term structure of interest rates, in other words choice of interest rate term structure models and prepayment rate model. So far, China has been developing quite a lot of after another structured financing instruments, including Jan-yuan and other asset-backed securities, but as noted above, most of the current study merely focus on how to design this kinds of financial products, how to guard against operation occurred during risk, how to enhance the kinds of securities credit risks, and this article based on the above research results to improve previous operation of the financial assets of the analysis, while taking advantage of mortgage securities issued in previous years, Chien-yuan,2007, to verify these theories, as a starting point to study of China’s housing mortgage securities, wish my future research this helps pricing of such securities.